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Derivative Instruments and Hedging Activities | 6 Months Ended
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Jun. 30, 2018
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
Derivative Instruments and Hedging Activities | Derivative Instruments and Hedging Activities The Company enters into derivative instruments in connection with its risk management activities. These derivative instruments may include interest rate swaps, swaptions, futures and options on futures. The Company may also purchase or sell TBAs, purchase options on U.S. Treasury futures or invest in other types of mortgage derivative securities. The Company's derivative instruments are currently comprised of interest rate swaps, which are designated as trading instruments. The following table presents the fair value of derivative instruments and their location in our condensed consolidated balance sheets at June 30, 2018 and December 31, 2017, respectively (dollar amounts in thousands):
Type of Derivative Instrument |  | Balance Sheet Location |  | June 30, 2018 |  | December 31, 2017
Interest rate swaps (1) |  | Derivative assets |  | $ | 10,543 |  |  | $ | 10,101 |
(1) | Variation margin payable of $4.4 million and variation margin receivable of $9.3 million is included as an adjustment to the carrying value of the derivative assets at June 30, 2018 and December 31, 2017, respectively.
The tables below summarize the volume activity of derivative instruments for the six months ended June 30, 2018 and 2017, respectively (dollar amounts in thousands):
|  | Notional Amount For the Six Months Ended June 30, 2018
Type of Derivative Instrument |  | December 31, 2017 |  | Additions |  | Settlement, Expiration or Exercise |  | June 30, 2018
Interest rate swaps |  | $ | 345,500 |  |  | $ | 50,000 |  |  | $ | — |  |  | $ | 395,500 |
|  | Notional Amount For the Six Months Ended June 30, 2017
Type of Derivative Instrument |  | December 31, 2016 |  | Additions |  | Settlement, Expiration or Exercise |  | June 30, 2017
TBA securities (1) |  | $ | 149,000 |  |  | $ | 1,011,000 |  |  | $ | (994,000 | ) |  | $ | 166,000 |
U.S. Treasury futures |  | 17,100 |  |  | 108,000 |  |  | (111,800 | ) |  | 13,300 |
Interest rate swap futures |  | (151,700 | ) |  | 315,200 |  |  | (259,400 | ) |  | (95,900 | )
Eurodollar futures |  | (2,575,000 | ) |  | 4,790,000 |  |  | (4,001,000 | ) |  | (1,786,000 | )
Swaptions |  | 154,000 |  |  | — |  |  | — |  |  | 154,000 |
Interest rate swaps |  | 15,000 |  |  | — |  |  | — |  |  | 15,000 |
(1) | Open TBA purchases and sales involving the same counterparty, same underlying deliverable and the same settlement date are reflected in our condensed consolidated financial statements on a net basis.
The following table presents the components of realized and unrealized gains and losses related to our derivative instruments included in other income category in our condensed consolidated statements of operations for the three and six months ended June 30, 2018 and 2017 (dollar amounts in thousands):
| Three Months Ended June 30,
| 2018 |  | 2017
| Realized Gains (Losses) |  | Unrealized Gains (Losses) |  | Realized Gains (Losses) |  | Unrealized Gains (Losses)
TBA securities | $ | — |  |  | $ | — |  |  | $ | 2,030 |  |  | $ | (1,015 | )
Eurodollar futures | — |  |  | — |  |  | 232 |  |  | (545 | )
Interest rate swaps | — |  |  | 5,135 |  |  | — |  |  | 48 |
Swaptions | — |  |  | — |  |  | — |  |  | 154 |
U.S. Treasury and interest rate swap futures and options | — |  |  | — |  |  | (573 | ) |  | 87 |
Total | $ | — |  |  | $ | 5,135 |  |  | $ | 1,689 |  |  | $ | (1,271 | )
| Six Months Ended June 30,
| 2018 |  | 2017
| Realized Gains (Losses) |  | Unrealized Gains (Losses) |  | Realized Gains (Losses) |  | Unrealized Gains (Losses)
TBA securities | $ | — |  |  | $ | — |  |  | $ | 1,815 |  |  | $ | (815 | )
Eurodollar futures | — |  |  | — |  |  | 787 |  |  | (925 | )
Interest rate swaps | — |  |  | 14,103 |  |  | — |  |  | 74 |
Swaptions | — |  |  | — |  |  | — |  |  | 68 |
U.S. Treasury and interest rate swap futures and options | — |  |  | — |  |  | (416 | ) |  | 193 |
Total | $ | — |  |  | $ | 14,103 |  |  | $ | 2,186 |  |  | $ | (1,405 | )
The following table presents information about our interest rate swaps whereby we receive floating rate payments in exchange for fixed rate payments as of June 30, 2018 and December 31, 2017, respectively (dollar amounts in thousands):
|  | June 30, 2018 |  | December 31, 2017
Swap Maturities |  | Notional Amount |  | Weighted Average Fixed Interest Rate |  | Weighted Average Variable Interest Rate |  | Notional Amount |  | Weighted Average Fixed Interest Rate |  | Weighted Average Variable Interest Rate
2024 |  | $ | 98,000 |  |  | 2.18 | % |  | 2.35 | % |  | $ | 98,000 |  |  | 2.18 | % |  | 1.36 | %
2027 |  | 247,500 |  |  | 2.39 | % |  | 2.35 | % |  | 247,500 |  |  | 2.39 | % |  | 1.39 | %
2028 |  | 50,000 |  |  | 3.13 | % |  | 2.32 | % |  | — |  |  | — |  |  | — |
Total |  | $ | 395,500 |  |  | 2.43 | % |  | 2.35 | % |  | $ | 345,500 |  |  | 2.33 | % |  | 1.38 | %
The use of derivatives exposes the Company to counterparty credit risks in the event of a default by a counterparty. If a counterparty defaults under the applicable derivative agreement, the Company may be unable to collect payments to which it is entitled under its derivative agreements and may have difficulty collecting the assets it pledged as collateral against such derivatives. The Company has in place with all counterparties bi-lateral margin agreements requiring a party to post collateral to the Company for any valuation deficit. This arrangement is intended to limit the Company’s exposure to losses in the event of a counterparty default. Currently, all of the Company's interest rate swaps outstanding are cleared through CME Group Inc. ("CME Clearing") which is the parent company of the Chicago Mercantile Exchange Inc. CME Clearing serves as the counterparty to every cleared transaction, becoming the buyer to each seller and the seller to each buyer, limiting the credit risk by guaranteeing the financial performance of both parties and netting down exposures.

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- Definition The entire disclosure for derivative instruments and hedging activities including, but not limited to, risk management strategies, non-hedging derivative instruments, assets, liabilities, revenue and expenses, and methodologies and assumptions used in determining the amounts. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -URI http://asc.fasb.org/topic&trid=2229140 + Details
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